Similar Search Results

Analysis of bankruptcy threat for risk management purposes : a model approach

Wieczorek-Kosmala, Monika; Błach, Joanna; Trzęsiok, Joanna - In: International Journal of Financial Studies : open … 6 (2018) 4, pp. 1-17

risk map. The purpose of our study is to advocate two additional dimensions that incorporate liquidity and/or debt capacity … companies face the limited ability to self-resist risk outcomes, due to high debt capacity and high liquidity constraints. We … supports the conclusion that the level of liquidity and debt capacity constraints and thus the ability to retain risk outcomes …

Persistent link: https://www.econbiz.de/10011963925

The two defaults scenario for stressing credit portfolio loss distributions

Tasche, Dirk - In: Journal of risk and financial management : JRFM 9 (2016) 1, pp. 1-18

The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions conditional on default events by means of Monte Carlo...

Persistent link: https://www.econbiz.de/10011544020

Fair risk allocation in illiquid markets

Csóka, Péter - 2015

performance evaluation of the divisions. In this paper we use cooperative game theory and simulation to assess the possibility to …

Persistent link: https://www.econbiz.de/10010481803

Managing investment risks of institutional private equity investors : the challenge of illiquidity

Kaserer, Christoph; Wagner, Niklas F.; Achleitner, … - 2003 - Version: December 2003

investments are typically observed at low frequency and are determined by transactions under low liquidity. This contribution …

Persistent link: https://www.econbiz.de/10009231549

Liquidity Risk?

Pontiff, Jeffrey - 2019

We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh's (2003) gamma liquidity risk … compensation for liquidity risk. We create five alternative liquidity risk indices from various popular liquidity proxies. Using …

Persistent link: https://www.econbiz.de/10012894394

Risk Sensitive Asset Management and Cascading Defaults

Birge, John R. - 2017

We consider an optimal risk-sensitive portfolio allocation problem accounting for the possibility of cascading defaults. Default events have an impact on the distress state of the surviving stocks in the portfolio. We study the recursive system of non-Lipschitz quasi-linear parabolic HJB-PDEs...

Persistent link: https://www.econbiz.de/10012969492

Hedging Market Risk in Optimal Liquidation

Monin, Phillip - 2017

effects from insufficient market liquidity. A typical method to manage these price impact effects is to split a given order …

Persistent link: https://www.econbiz.de/10012972701

Managing Default Risk

Zabai, Anna - 2014

High sovereign debt in advanced economies has recently revived the debate about the role of coordination problems and self-fulfilling beliefs as drivers of sovereign default risk. I show how default risk can be decomposed in a solvency-risk component and a coordination-risk component. I then...

Persistent link: https://www.econbiz.de/10013045961

Quantitative methods in economics and finance

Kliestik, Tomas (ed.); Valaskova, Katarina (ed.); … - 2021

The purpose of the Special Issue "Quantitative Methods in Economics and Finance" of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange...

Persistent link: https://www.econbiz.de/10012586709

Liquidity at Risk : Joint Stress Testing of Solvency and Liquidity

Cont, Rama - 2020

. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …

Persistent link: https://www.econbiz.de/10012828230

1
2
3
4
5
6
7
8
9
10
Next
Last